Windows: Download and install Ruby using RubyInstaller

OS X: Ruby is already installed, but it might be version 1.8.7, we want the latest and greatest. ruby-lang.org has instructions in the downloads section on how to do this easliy.

Ubuntu Linux: At the command line: sudo apt-get install ruby

Extras:

For those on a *nix based system (MAC and Ubuntu) you can use Ruby Version Manager to encapsulate your ruby gems. I highly recommend this if you want to program Ruby professionally.